Ride System

Origin of the name:RIsk Data Extraction System
(but applies to all time series data)

RIDE uses Perl to create a wrapper that glues hundreds of commands and objects to create an organized data-retrieval system. Its key functions have evolved from years of experience with the kinds of time series and formats that have proven most valuable to financial data analysts, risk managers, and back-office accountants. RIDE is readily adaptable to accommodate special data-manipulation needs.

Key features of the RIDE System:
  • Easily understood nicknames for instruments
  • Snapshot prices at user-defined periods - with or without interpolation
  • Sampled data retrieval (daily, hourly or arbitrary interval) - with or without interpolation
  • Market-interval processing (e.g., open/close/high/low, moving averages)
  • Raw tick-by-tick data retrieval
  • Interval statistics (e.g., mean, median, price fractiles, number of contributing ticks)
  • Historical volatility and correlation analysis
  • User-defined time zones for sampling and data timestamps
  • Business days determined by user-selected market definition
  • Additional user-defined data fields (e.g., contributing bank, bond coupons, Future expiry dates)
  • User-defined filter criteria
  • Continuous history of Futures contracts
  • Zero-coupon yield curves with user-defined contributing instruments
  • Synthetic FX cross rates computed with any common third-party currency (e.g., EUR)
  • Output in Excel, plain text, or customized formats

Ride System - technical overview

Read a technical overview of the RIDE System. This paper discusses how data is collected, named, computed and assembled for delivery, and outlines the various stages of the software for doing this.